Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.9 +4.0%
- Euro/Yen Carry Return Index 123.22 +.20%
- Emerging Markets Currency Volatility(VXY) 8.27 +.61%
- S&P 500 Implied Correlation 37.65 +4.44%
- ISE Sentiment Index 99.0 +15.12%
- Total Put/Call .83 -14.4%
- NYSE Arms .83 +22.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.21 +1.07%
- America Energy Sector High-Yield CDS Index 402.0 -3.18%
- European Financial Sector CDS Index 58.11 +.68%
- Italian/German 10Y Yld Spread 156.75 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.94 -.27%
- Emerging Market CDS Index 201.29 +1.14%
- iBoxx Offshore RMB China Corporate High Yield Index 165.34 +.03%
- 2-Year Swap Spread -1.5 -1.5 basis points
- TED Spread 20.0 +4.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.73 +.03%
- 3-Month T-Bill Yield 1.94% -1.0 basis point
- Yield Curve .05 +2.0 basis points
- China Iron Ore Spot 88.60 USD/Metric Tonne -.24%
- Citi US Economic Surprise Index 7.0 -.6 point
- Citi Eurozone Economic Surprise Index -37.20 -3.1 points
- Citi Emerging Markets Economic Surprise Index -15.6 +.6 point
- 10-Year TIPS Spread 1.59 +2.0 basis points
- 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -112 open in Japan
- China A50 Futures: Indicating +18 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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